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> These days almost everyone takes market data directly from each exchange and builds their own view of the market, Minor nitpick here. What you say is correc

> These days almost everyone takes market data directly from each exchange and builds their own view of the market, Minor nitpick here. What you say is correct if you are talking about say the top 50 trading entities in North America. Once you get to the regular hedge funds, pensions, or anyone who doesn't do heavy algo trading this is false. My guess is that its more like 99% of people who get live market data get it as a consolidated feed from Bloomberg, Thompson Reuters, Activ, etc and not from the individual exchanges. Heck even the funds I know that aggregate themselves still have consolidated feeds via their Bloomberg terminals. Market data is very expensive to get individually from the exchanges. In Canada for instance the TSX is $2500 for Level 1 quotes and an additional $3500 for the depth of book. NYSE is similar. To consolidate the US markets we can spend $50,000 a month. It's crazy how expensive it can be.

minimax 13y ago
Yes I probably shouldn't have made such a broad claim. Do you think any of these lower volume participants are dependent on the CQS/UQDF consolidated feeds though? I bet Bloomberg, Thompson Reuters, and co are connecting to each exchange and building their own consolidated feed rather than repackaging CQS/UQDF.
- chollida1 13y ago
  > Do you think any of these lower volume participants are dependent on the CQS/UQDF consolidated feeds though? I think your probably right here, though I don't know for sure. > I bet Bloomberg, Thompson Reuters, and co are connecting to each exchange and building their own consolidated feed rather than repackaging CQS/UQDF. We've had both feeds and this jives with what our reps have told us. Both vendors are proud of their consolidated feed technology. And I've seen the size of one of bloomberg's tickering plants that is colo'd in Toronto. If they aren't building their own feed they have a lot of machines sitting around doing very little:)
  - anthony_barker 13y ago
    Reuters has RDF-D which is distributed. bloomberg has B-PIPE. Both are not as good as using an overpriced FPGA (redline, nova spark, etc) and parsing the data yourself.
- resu 13y ago
  Yes, I think very many are dependent on these feeds. As you mentioned, they are the official prices and are referenced for compliance with all those damn regulations and most of the market relies on them so it'd be pretty much impossible to facilitate trading while it's down. Also, trading in any derivative that is based on any underlying in the feed will be very problematic because that's where the underlying spot price come from. Options trading for example were entirely shut down in those symbols while the feed was down.
  - insaneirish 13y ago
    All the consolidated feeds, CTS, CQS, UTDF, UQDF are consumed for options, but they are a secondary thing and not used for pricing in real time. Raw feeds are used. That said, Nasdaq is the most important underlier for many things in options, and that could be why some options trading stopped.
    - resu 13y ago
      PHLX, NOM, ISE/Gemini all halted trading and all exchanges halted options trading on Nasdaq listed symbols until Nasdaq came back up at ~3:40. Yes, most sophisticated co-located firms probably use raw feeds, but how do you facilitate trading when the official feed for the underlying is down and the symbols aren't even trading on their listed exchange? (Nasdaq down from ~12 to ~3:40)
noname123 13y ago
Thanks for the breakdown, I have a few questions: 1) What are the advantages of getting separate feeds from BATS/EDGEX etc. instead of using the consolidated then? Is it because of the slight differences in matching mechanisms and priority queue in the different exchanges' orderbooks? But how can you get a competitive advantage if RegNMS forces exchanges to execute you at NBBO anyways. 2) Another question I have is, let's say I send a DMA marketable limit order to BATS specifically to get the liquidity rebate fees and because there's a price improvement for that marketable order; BATS is obligated to re-direct my order to ARCA, do I still get to collect the rebate fee structure from BATS or is that order technically under the fee structure of ARCA. EDIT: > Once you get to the regular hedge funds, pensions, or anyone who doesn't do heavy algo trading You are correct that most hedge funds and pensions probably don't trade on HFT strategies. But some of them execute their bulk orders on HFT platforms through integrations via whatever OMS they use. So instead of market-making, liquidity rebates and stat arb strategies, institutions use iceberg, hidden vwap orders to execute their bulk orders at opportunistic times; their bulk order execution algo does analyze the depth of orderbooks to determine the level of aggressiveness of their orders and also leverage co-location for fast execution.
- chollida1 13y ago
  > 1) What are the advantages of getting separate feeds from BATS/EDGEX etc. instead of using the consolidated then? EDIT: Sorry I misinterpreted the question I think. I was answering why not use the bloomberg feed over the TAPE C feed. In the case of why get exchange feeds directly rather than the consolidated feed , the answer as far as I know is "Peeking". The exchanges let HFT see orders for up to 30 milliseconds before the general public does. As far as I know TAPE C doesn't give you these "peeks". See: http://seekingalpha.com/article/694931-the-new-high-frequency-trading-landscape-man-versus-machine http://seekingalpha.com/article/694931-the-new-high-frequenc... In the case of getting a consolidated feed from say bloomberg, the data flow is: EXCHANGE -> BLOOMBERG -> BLOOMBERG OPTIONALLY MIXES IN OTHER DATA(VWAP, etc) -> YOUR SERVER if you get the data from the exchange it looks like: EXCHANGE -> YOUR SERVER so timing. Each exchange takes a slightly different amount of time to publish their quote so if you colocate at multiple exchanges you can respond a bit quicker to each of them than if you wait for the consolidated quote to come from a third party. > 2) Another question I have is, let's say I send a DMA marketable limit order to BATS specifically to get the liquidity rebate fees and because there's a price improvement for that marketable order; BATS is obligated to re-direct my order to ARCA, do I still get to collect the rebate fee structure from BATS or is that order technically under the fee structure of ARCA. TO be honest I'm not entirely sure as I deal more with the Canadian markets, but here the fees are payable where the trade executes. I'd be surprised if BATS paid you for taking/providing liquidity on another market:) I don't want to present myself as an expert in the US financial markets. I'm responsible for trading technology for a hedge so its my job to know as much as I can but the only universal truth I've found is that no one fully understand how the whole system works.

minimax 13y ago

Yes I probably shouldn't have made such a broad claim. Do you think any of these lower volume participants are dependent on the CQS/UQDF consolidated feeds though? I bet Bloomberg, Thompson Reuters, and co are connecting to each exchange and building their own consolidated feed rather than repackaging CQS/UQDF.

chollida1 13y ago
> Do you think any of these lower volume participants are dependent on the CQS/UQDF consolidated feeds though? I think your probably right here, though I don't know for sure. > I bet Bloomberg, Thompson Reuters, and co are connecting to each exchange and building their own consolidated feed rather than repackaging CQS/UQDF. We've had both feeds and this jives with what our reps have told us. Both vendors are proud of their consolidated feed technology. And I've seen the size of one of bloomberg's tickering plants that is colo'd in Toronto. If they aren't building their own feed they have a lot of machines sitting around doing very little:)
- anthony_barker 13y ago
  Reuters has RDF-D which is distributed. bloomberg has B-PIPE. Both are not as good as using an overpriced FPGA (redline, nova spark, etc) and parsing the data yourself.
resu 13y ago
Yes, I think very many are dependent on these feeds. As you mentioned, they are the official prices and are referenced for compliance with all those damn regulations and most of the market relies on them so it'd be pretty much impossible to facilitate trading while it's down. Also, trading in any derivative that is based on any underlying in the feed will be very problematic because that's where the underlying spot price come from. Options trading for example were entirely shut down in those symbols while the feed was down.
- insaneirish 13y ago
  All the consolidated feeds, CTS, CQS, UTDF, UQDF are consumed for options, but they are a secondary thing and not used for pricing in real time. Raw feeds are used. That said, Nasdaq is the most important underlier for many things in options, and that could be why some options trading stopped.
  - resu 13y ago
    PHLX, NOM, ISE/Gemini all halted trading and all exchanges halted options trading on Nasdaq listed symbols until Nasdaq came back up at ~3:40. Yes, most sophisticated co-located firms probably use raw feeds, but how do you facilitate trading when the official feed for the underlying is down and the symbols aren't even trading on their listed exchange? (Nasdaq down from ~12 to ~3:40)

noname123 13y ago

Thanks for the breakdown, I have a few questions: 1) What are the advantages of getting separate feeds from BATS/EDGEX etc. instead of using the consolidated then? Is it because of the slight differences in matching mechanisms and priority queue in the different exchanges' orderbooks? But how can you get a competitive advantage if RegNMS forces exchanges to execute you at NBBO anyways. 2) Another question I have is, let's say I send a DMA marketable limit order to BATS specifically to get the liquidity rebate fees and because there's a price improvement for that marketable order; BATS is obligated to re-direct my order to ARCA, do I still get to collect the rebate fee structure from BATS or is that order technically under the fee structure of ARCA. EDIT: > Once you get to the regular hedge funds, pensions, or anyone who doesn't do heavy algo trading You are correct that most hedge funds and pensions probably don't trade on HFT strategies. But some of them execute their bulk orders on HFT platforms through integrations via whatever OMS they use. So instead of market-making, liquidity rebates and stat arb strategies, institutions use iceberg, hidden vwap orders to execute their bulk orders at opportunistic times; their bulk order execution algo does analyze the depth of orderbooks to determine the level of aggressiveness of their orders and also leverage co-location for fast execution.

chollida1 13y ago
> 1) What are the advantages of getting separate feeds from BATS/EDGEX etc. instead of using the consolidated then? EDIT: Sorry I misinterpreted the question I think. I was answering why not use the bloomberg feed over the TAPE C feed. In the case of why get exchange feeds directly rather than the consolidated feed , the answer as far as I know is "Peeking". The exchanges let HFT see orders for up to 30 milliseconds before the general public does. As far as I know TAPE C doesn't give you these "peeks". See: http://seekingalpha.com/article/694931-the-new-high-frequency-trading-landscape-man-versus-machine http://seekingalpha.com/article/694931-the-new-high-frequenc... In the case of getting a consolidated feed from say bloomberg, the data flow is: EXCHANGE -> BLOOMBERG -> BLOOMBERG OPTIONALLY MIXES IN OTHER DATA(VWAP, etc) -> YOUR SERVER if you get the data from the exchange it looks like: EXCHANGE -> YOUR SERVER so timing. Each exchange takes a slightly different amount of time to publish their quote so if you colocate at multiple exchanges you can respond a bit quicker to each of them than if you wait for the consolidated quote to come from a third party. > 2) Another question I have is, let's say I send a DMA marketable limit order to BATS specifically to get the liquidity rebate fees and because there's a price improvement for that marketable order; BATS is obligated to re-direct my order to ARCA, do I still get to collect the rebate fee structure from BATS or is that order technically under the fee structure of ARCA. TO be honest I'm not entirely sure as I deal more with the Canadian markets, but here the fees are payable where the trade executes. I'd be surprised if BATS paid you for taking/providing liquidity on another market:) I don't want to present myself as an expert in the US financial markets. I'm responsible for trading technology for a hedge so its my job to know as much as I can but the only universal truth I've found is that no one fully understand how the whole system works.